Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications
Edinburgh, July 2017 Selected, Revised and Extended Contributions
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Beschreibung
This collection of selected, revised and extended contributions resulted from a Workshop on BSDEs, SPDEs and their Applications that took place in Edinburgh, Scotland, July 2017 and included the 8th World Symposium on BSDEs.
The volume addresses recent advances involving backward stochastic differential equations (BSDEs) and stochastic partial differential equations (SPDEs). These equations are of fundamental importance in modelling of biological, physical and economic systems, and underpin many problems in control of random systems, mathematical finance, stochastic filtering and data assimilation. The papers in this volume seek to understand these equations, and to use them to build our understanding in other areas of mathematics.
This volume will be of interest to those working at the forefront of modern probability theory, both established researchers and graduate students.This collection of selected, revised and extended contributions resulted from a Workshop on BSDEs, SPDEs and their Applications that took place in Edinburgh, Scotland, July 2017 and included the 8th World Symposium on BSDEs.
The volume addresses recent advances involving backward stochastic differential equations (BSDEs) and stochastic partial differential equations (SPDEs). These equations are of fundamental importance in modelling of biological, physical and economic systems, and underpin many problems in control of random systems, mathematical finance, stochastic filtering and data assimilation. The papers in this volume seek to understand these equations, and to use them to build our understanding in other areas of mathematics.
This volume will be of interest to those working at the forefront of modern probability theory, both established researchers and graduate students.
Pays attention to the interaction of the both research areas on backward stochastic differential equations (BSDEs) and on stochastic partial differential equations (SPDEs) Provides new insights and approaches Written by experts in the field
Autor*in
Samuel N. Cohen
Themen in »Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications«
60-06, 91-06 BSDEs World Symposium SPDEs Stochastic Control Filtering Mathematical Finance Enlargement of Filtration McKean Equations Martingale Representation Uncertainty Option Pricing Forward Utility Path Dependence quantitative finance partial differential equations